Competing with the nyse

Figure 1: NYSE and Consolidated Trading Volume, 1885 to 1926

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Figure 1: NYSE and Consolidated Trading Volume, 1885 to 1926

NYSE Volume Consolidated Volume Consolidated/NYSE

mean 145,192,802 26,916,083 23.48%

median 135,203,167 27,504,210 22.50%

maximum 463,924,822 50,560,361 60.88%

minimum 33,052,099 783,494 1.27%
Notes: 1885 data begins February 17, 1914 markets closed from August until mid-December, 1926 January and February only.

Source: NYSE and New York Times.

Figure 2. NYSE Bid-Ask Spreads: 1885 to 1926.
This figure reports median bid-ask spreads for the NYSE for the 1885 to 1926 period. One day from each year is sampled. See the Data Appendix for specific dates and sources. All NYSE with Quotes is the spread for all NYSE listings with quotes on a given date. NYSE Traded Only is the spread for NYSE listings with volume on the NYSE but not on the Consolidated Exchange. Traded Both Exchanges is the spread for NYSE listings with volume on both the NYSE and the Consolidated Exchange.

Figure 3: Absolute Bid-Ask Spreads on the NYSE and Regional Exchanges around the Initiation of Consolidated Trading (January 11, 1883 - April 9, 1886)

This figure reports the reported absolute bid-ask spreads for all securities on the New York Stock Exchange and the universe of stocks trading on a selected set of the leading regional exchanges (Baltimore, Boston, and Philadelphia) for the period from January 11, 1883 to April 9, 1886. Absolute bid-ask spread is the closing bid-ask spread for a given day. Data are taken from the New York Times.

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Table 1. Most Heavily Traded Stock: 1885 to 1926.

This table reports the most heavily traded stock on the NYSE and the Consolidated Exchange in the 1885 to 1926 period. One day from each year is sampled. See the Data Appendix for specific dates. For the most heavily traded stock on a given exchange, the table also reports the rank in volume on the rival exchange and the bid-ask spread of the stock on the NYSE.

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NYSE NYSE

Year NYSE Rank on Consol Spread Consolidated Rank on NYSE Spread
1885 Delaware Lackawanna 9 0.125 Chicago Milwaukee 8 0.125

1886 Delaware Lackawanna 3 0.125 Chicago Milwaukee 2 0.125

1887 Philadelphia & Reading 3 0.125 Lake Shore 6 0.25

1888 Chicago Milwaukee 2 0.125 Philadelphia & Reading 2 0.25

1889 Delaware Lackawanna 1 0.25 Delaware Lackawanna 1 0.25

1890 American Sugar 1 0.125 American Sugar 1 0.125

1891 Chicago Rock Island 1 0.25 Chicago Rock Island 1 0.25

1892 Philadelphia & Reading 2 0.125 NY & New England 7 0.125

1893 Louisville & Nashville 16 0.25 Chicago Milwaukee 2 0.125

1894 American Sugar 1 0.125 American Sugar 1 0.125

1895 Chicago Gas 2 0.125 Chicago Milwaukee 2 0.125

1896 Philadelphia & Reading 2 0.125 American Sugar 2 0.25

1897 Northern Pacific pref 7 0.125 American Sugar 2 0.125

1898 Chesapeake & Ohio 23 0.125 American Sugar 11 0.125

1899 American Sugar 1 0.125 American Sugar 1 0.125

1900 American Sugar 1 0.25 American Sugar 1 0.25

1901 Southern Pacific 1 0.125 Southern Pacific 1 0.125

1902 Southern Pacific 4 0.125 Amalgamated Copper 2 0.25

1903 Erie 1 0.125 Erie 1 0.125

1904 Pennsylvania 3 0.125 US Steel pref 2 0.25

1905 Union Pacific 3 0.125 US Steel pref 6 0.125

1906 Amalgamated Copper 1 0.125 Amalgamated Copper 1 0.125

1907 Reading 1 0.125 Reading 1 0.125

1908 Reading 1 0.125 Reading 1 0.125

1909 Reading 2 0.125 Union Pacific 3 0.125

1910 Reading 3 0.125 US Steel 2 0.125

1911 US Steel 1 0.125 US Steel 1 0.125

1912 US Steel 1 0.125 US Steel 1 0.125

1913 American Can 3 0.125 Reading 3 0.125

1914 US Steel 1 0.125 US Steel 1 0.125

1915 Reading 1 0.125 Reading 1 0.125

1916 US Steel 1 0.125 US Steel 1 0.125

1917 US Steel 1 0.125 US Steel 1 0.125

1918 US Steel 1 0.125 US Steel 1 0.125

1919 US Steel 1 0.125 US Steel 1 0.125

1920 Baldwin Locomotive 1 0.125 Baldwin Locomotive 1 0.125

1921 General Asphalt 2 0.125 Mexican Petroleum 3 0.50

1922 Studebaker Corp 2 0.125 Island Oil & Transport 17 0.25

1923 US Steel 4 0.125 California Petroleum 5 0.125

1924 General Motors 5 0.125 Studebaker Corp 3 0.125

1925 Independent Oil & Gas 37 0.25 Radio Corp of America 9 0.125

1926 Sinclair Oil 1 0.125 Sinclair Oil 1 0.125

Median 1.5 0.125 1.5 0.125

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Table 2. Summary Statistics of Pre- and Consolidated Period (December 28, 1883 - April 9, 1886)

This table reports the sample statistics for the trading data from the NYSE in the 120 weeks surrounding the initiation of trading of NYSE listed securities on the Consolidated Stock Exchange. One day, usually Friday, from each week is sampled. Absolute bid-ask spread is the closing bid-ask spread for a given day. The relative bid-ask spread is the closing bid-ask spread in percentage terms [(ask-bid)/((ask+bid)/2)]. The individual security volume is the total NYSE volume for the security for a given day. The individual security closing price is the NYSE closing price for that day. Individual security volatility is the standard deviation of a given security’s return over the entire sample period. The NYSE total weekly volume is the total volume for all securities for a given day and the previous five days of trading. A security’s share of total volume is that security’s total NYSE volume for a given day divided by the total NYSE volume for that day. The concentration ratio is the sum of the volume for the four securities with the highest volume on a given day divided by the total NYSE volume for that day. The broker’s call rate is the closing weekly call rate for the week for which other data are taken. The presence of Consolidated trading takes a value of one for all observations in the 60 weeks after February 17, 1885 and is zero for the observations in the 60 weeks before Feb 17, 1885.

	absolute bid-ask spread	relative bid-ask spread (%)	individual security volume	individual security closing price	individual security volatility (%)	NYSE total weekly volume (in millions)	Security’s share of total volume (%)	concentration ratio (%)	broker's call rate (%)	Presence of Consolidated trading (%)
	Full Sample (n = 7,036)
mean	0.685	2.776	5,251	52.893	7.099	1.990	1.689	55.516	2.040	53.681
median	0.375	1.067	600	41.375	6.303	1.920	0.192	56.507	2.000	100.00
standard dev.	0.936	5.004	13,032	40.133	4.759	0.715	4.064	9.821	1.086	49.867
Minimum	0.125	0.090	5	0.250	1.282	0.715	0.001	32.723	1.000	0.000
Maximum	20.00	133.33	171,516	150.00	24.887	4.500	45.729	80.66	9.500	100.00
	Pre-Consolidated Period (n = 3,259)
mean	0.758	3.040	5,790	52.876	7.023	1.900	1.815	59.483	2.098
median	0.375	1.130	550	42.500	6.126	1.876	0.183	58.949	1.750
standard dev.	1.063	5.246	14,671	39.872	4.829	0.556	4.449	7.655	1.305
Minimum	0.125	0.095	5	1.000	1.282	0.869	0.001	43.066	1.000
Maximum	20.00	133.33	171,516	148.50	24.887	3.404	44.899	80.66	9.500
	Consolidated Period (n = 3,777)
mean	0.622	2.548	4,786	52.907	7.165	2.068	1.579	52.093	1.990
median	0.375	1.036	600	40.125	6.383	1.933	0.204	53.551	2.000
standard dev.	0.806	4.775	11,411	40.362	4.689	0.821	3.697	10.189	0.851
minimum	0.125	0.090	5	0.250	1.282	0.715	0.001	32.723	1.000
maximum	10.00	100.00	114,230	150.00	24.887	4.500	45.729	72.868	5.500
	Difference in Means Test Pre-Consolidated and Consolidated Period
T-Statistic	5.996	4.120	2.879	0.151	0.729	9.914	2.047	34.853	4.577
P-Value	0.000	0.000	0.004	0.880	0.466	0.000	0.040	0.000	0.000

	(Table 2 continued)
	absolute bid-ask spread	relative bid-ask spread (%)	individual security volume	individual security closing price	individual security volatility (%)	absolute bid-ask spread	relative bid-ask spread (%)	individual security volume	individual security closing price	individual security volatility (%)
Full Period	Firms without Consolidated Trading (n = 2,213)					Firms with Consolidated Trading (n = 4,823)
mean	1.292	0.039	436	63.626	0.066	0.407	0.023	7,460	47.969	0.073
median	1.000	0.020	200	52.000	0.064	0.250	0.008	1,200	38.875	0.061
standard dev.	1.329	0.060	843	44.810	0.046	0.473	0.044	15,229	36.765	0.048
minimum	0.125	0.001	5	1.000	0.013	0.125	0.001	5	0.250	0.017
maximum	20.00	1.333	12,710	150.00	0.164	7.000	1.000	171,516	139.375	0.249
Pre-Consolidated Period	Firms without Consolidated Trading (n = 976)					Firms with Consolidated Trading (n = 2,283)
mean	1.505	0.046	382	66.101	0.063	0.439	0.024	8,102	47.223	0.073
median	1.000	0.023	200	62.000	0.040	0.250	0.008	1,200	38.500	0.061
standard dev.	1.526	0.074	723	44.476	0.047	0.528	0.038	17,006	36.301	0.049
minimum	0.125	0.001	5	1.000	0.013	0.125	0.001	5	1.125	0.017
maximum	20.00	1.333	12,710	148.50	0.164	6.500	0.435	171,516	131.5	0.249
Post-Consolidated Period	Firms without Consolidated Trading (n = 1,237)					Firms with Consolidated Trading (n = 2,540)
mean	1.124	0.033	478	61.673	0.069	0.378	0.022	6,883	48.638	0.073
median	0.875	0.018	200	47.375	0.065	0.250	0.007	1,200	39.000	0.063
standard dev.	1.122	0.046	926	44.994	0.045	0.415	0.048	13,409	37.171	0.048
minimum	0.125	0.001	5	1.250	0.013	0.125	0.001	5	0.250	0.017
maximum	10.00	0.560	10,610	150.00	0.164	7.000	1.000	114,230	139.375	0.249
	Difference in Means Test Pre-Consolidated and Consolidated Period
T-Statistic	6.765	5.040	2.650	2.310	3.104	4.425	1.581	2.776	1.335	0.305
P-Value	0.000	0.000	0.008	0.021	0.002	0.000	0.114	0.005	0.182	0.761

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